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Backwardation and normal backwardation in energy futures markets : with an application to Metallgesellschaft's short-dated rollover hedging of long-term contracts
Charupat, Narat; Deaves, Richard - 2002
We show that, since the inception of energy futures markets, prices have on average exhibited backwardation. Normal backwardation has also been the norm, but, because of the low power of the standard tests, most researchers have concluded that the unbiased expectations model cannot be rejected....
Persistent link: https://www.econbiz.de/10011447648
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Modeling asset returns : a comparison of theoretical and empirical models
Lüders, Erik (contributor); Schröder, Michael (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001945539
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Modeling asset returns : a comparison of theoretical and empirical models
Lüders, Erik (contributor); Schröder, Michael (contributor) - 2004 - Rev. version
large economies, USA, United Kingdom, Germany, France and Japan. The empirical results show that although the pure NGARCH … model performs well, the estimation for the German stock index could be significantly improved by an extension which follows …
Persistent link: https://www.econbiz.de/10003670896
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Höheres Beschäftigungswachstum durch Venture Capital?
Engel, Dirk - 2001
Beteiligungskapitalgebers zu einem höheren Wachstum junger Unternehmen in Deutschland führt. Die Beschäftigungswirkung fällt jedoch, verglichen … 1998 in Germany. The number of venture-backed firms is based on the identification of involvements of venture capitalists … estimation of causal effects shows significant higher average annual employment growth rates of German venture-backed firms. …
Persistent link: https://www.econbiz.de/10011446264
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The impact of a stock market downturn on corporate financing activities in Germany
Meitner, Matthias (contributor);  … - 2005
reveals no major importance of the bank balance sheet channel for the relationship between stock market volatility and …
Persistent link: https://www.econbiz.de/10003268547
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Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX : eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose
Entorf, Horst (contributor); Steiner, Christian (contributor) - 2006
Persistent link: https://www.econbiz.de/10003273181
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Volatilitätseffekte am US-amerikanischen Häusermarkt
Schindler, Felix - 2009
-amerikanischen Häusermarkt die zu anderen Asset-Märkten analogen ARCH-Effekte des Volatility- Clusterings und einer leptokurtischen … Konsequenzen befassen. -- Asset-pricing ; GARCH ; house prices ; house price volatility …
Persistent link: https://www.econbiz.de/10003881343
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Systemic risk in European banking : evidence from bivariate GARCH models
Schröder, Michael; Schüler, Martin - 2003
This paper attempts to assess the Europe-wide systemic risk in banking. We employ a bivariate GARCH model to estimate conditional correlations between European bank stock indices. These correlations are used as an indication for the interdependencies amongst the banking business in Europe and...
Persistent link: https://www.econbiz.de/10011448270
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A mean variance king? : creation and resolution of uncertainty under the employment report's reign
Hautsch, Nikolaus; Hess, Dieter - 2001
differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10011446937
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The impact of macroeconomic uncertainty on cash holdings for non-financial firms
Baum, Christopher F.; Caglayan, Mustafa; Ozkan, Neslihan; … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001898292